Question ID
2016_2997
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - Leverage ratio
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Article 14
Name of institution / submitter
Banco de España
Country of incorporation / residence
Spain
Type of submitter
Competent authority
Subject matter
EBA validation rule (Leverage Ratio) v4456_m
Question

We think that the validation rule v4456_m may not be correct because the first part is deducting row 260 of C 47.00 “(-) Exposures exempted in accordance with Article 429(14) of the CRR”. However, the exposures included in C 47.00 row 260 are reported in C 43.00 row 090 “Exposures treated as sovereigns” which is added in second part of the validation rule.

 v4456_m

sum({C_47.00, c010, r[010, 020, 030, 040, 050, 060, 070, 080, 090, 100-260]}) = sum({C_43.00.a, c010, r[010, 040, 050, 060, 065, 070]}) + sum({C_43.00.b, c010, r[080, 090, 140, 180, 190, 210, 230, 280, 290]}) + sum({C_43.00.c, c020, r[080, 090, 140, 180, 190, 210, 230, 280, 290]})

Should it be changed this validation rule in the following sense?

sum({C_47.00, c010, r[010, 020, 030, 040, 050, 060, 070, 080, 090, 100-260]}) ≤ sum({C_43.00.a, c010, r[010, 040, 050, 060, 065, 070]}) + sum({C_43.00.b, c010, r[080, 090, 140, 180, 190, 210, 230, 280, 290]}) + sum({C_43.00.c, c020, r[080, 090, 140, 180, 190, 210, 230, 280, 290]})

Background on the question

In the first part, this validation rule is deducting C 47.00 row 260, (-) Exposures exempted in accordance with Article 429(14) of the CRR. Entities may report data in this row if the conditions of 429 (14) are met. This exposures are included in C 43.00 row 130 which is a sub epigraph of C 43.00 row 90 that is being added in the second part of the formula. Entities which report row 260 are not going to fulfil the validation.

Submission date
Final publishing date
Final answer

According to Part II, paragraph 28 of Annex XI of Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) as amended by Regulation (EU) 2016/428, institutions shall report the leverage ratio exposure values in C 43.00 of Annex X net of the amounts which have to be reported in the LRCalc-cells (cells of C 47.00) listed in the above mentioned paragraph.

The exposure exempted in accordance with Article 429(14) of the Regulation (EU) No 575/2013 (CRR) as amended by Delegated Regulation (EU) 2015/62, to which this question refers to, has to be reported, inter alia, in {C 47.00;r260;c010} (see instructions for this cell) and is thus subject to the provisions laid down in the paragraph 28. Hence, these exempted exposures shall not be included in the respective rows of C 43.00.

In the light of that, validation rule v4456_m is correct.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

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